Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0007
Annualized Std Dev 0.1609
Annualized Sharpe (Rf=0%) -0.0045

Row

Daily Return Statistics

Close
Observations 4628.0000
NAs 1.0000
Minimum -0.1409
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.1723
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0101
Skewness -0.2792
Kurtosis 53.3451

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0080
Loss Deviation 0.0090
Downside Deviation (MAR=210%) 0.0122
Downside Deviation (Rf=0%) 0.0073
Downside Deviation (0%) 0.0073
Maximum Drawdown 0.4965
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0233
Modified VaR (95%) -0.0065
Modified ES (95%) -0.0065
From Trough To Depth Length To Trough Recovery
2005-09-12 2008-10-10 2012-03-07 -0.4965 1634 777 857
2013-01-14 2020-03-18 NA -0.3662 2061 1807 NA
2002-11-04 2004-05-13 2005-06-02 -0.1794 649 384 265
2012-03-12 2012-03-16 2012-06-25 -0.0824 74 5 69
2012-11-28 2012-12-18 2013-01-10 -0.0822 30 15 15

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA 0.3 0 1.7 2
2003 -0.9 0.3 0.6 -0.7 0.1 0.1 0 0.5 1.1 -0.3 -0.4 1.2 1.7
2004 0.7 0.1 -0.1 0.8 -0.4 0.8 0.9 0.2 -0.1 -1 0.2 0.6 2.6
2005 0.1 0.3 2.1 0.3 1 -0.9 -0.5 0.7 0 0.1 0 2.4 5.8
2006 -0.1 0.3 0.1 -0.1 0.9 0.4 0.1 -0.1 -0.2 0.4 -0.7 0.1 1.2
2007 -0.3 -0.2 -0.5 -0.1 0.3 0.8 -0.3 1 0.7 -0.9 -0.3 0.9 1.2
2008 0 -3.1 1 0.6 0.2 0.6 0.5 -0.8 3.3 -0.8 -1 -2.8 -2.5
2009 0.1 0.9 1.7 -1.2 0 -1.6 1.8 1.6 0.9 -0.7 0.7 1.3 5.6
2010 0.2 0.6 -1 -0.4 -0.1 -0.1 0.8 0.6 0.6 0.2 -2.4 2.4 1.5
2011 2.1 1.1 0.4 0.4 0.1 0.4 1 1.4 0.1 0.3 -0.1 0.5 7.9
2012 0 -0.3 0.3 0.8 -0.1 0.9 -0.1 -0.4 -0.4 0.7 0.1 0.2 1.8
2013 0.1 0.1 -0.8 0.3 -1 1.3 -1.2 0.2 0.3 -1.5 0.1 -0.3 -2.6
2014 0.2 0.1 -0.3 0.5 0.1 -0.6 0.1 0.1 0.2 0 0.1 0.3 1
2015 1.1 0.9 0.2 -0.4 0.1 0.1 0.9 0.1 0.3 0 0.8 1.8 5.9
2016 0 0.7 -0.3 0.8 1 -0.7 -0.2 -0.3 0.5 0.3 -0.7 0.7 1.8
2017 -0.1 -0.1 0.4 -0.3 0.3 0.5 0.8 1.8 -0.1 -0.1 0.2 0.1 3.2
2018 -0.3 0.2 0.7 0.4 -0.2 0 0 -0.4 0 0.3 0.1 0.1 1
2019 -0.5 0.2 -0.3 0.2 0.4 0.1 0.6 0.3 0.1 0.1 0.1 -0.4 1
2020 -0.2 -1.4 -2.9 -0.1 0.9 1.1 0.7 0.8 0.4 0.3 0.3 0.9 0.6
2021 0.1 -0.1 0.3 NA NA NA NA NA NA NA NA NA 0.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart